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本文以IS-Philips模型为基础构建了一个包含汇率和资产价格(房地产价格)的利率规则,并利用MS-VAR模型实证检验了人民币汇率、资产价格与利率规则的非线性动态关系。研究结论显示:我国利率政策在应对人民币汇率与房地产价格时,存在显著的区制转换效应。当房地产价格处于高区制(即房价处于较高水平)时,利率的上升幅度大于其处于低区制(即房价处于较低水平)时的上升幅度;同时,当人民币汇率处于高区制(即人民币处于强势状态)时,利率的下降幅度大于其处于低区制(即人民币处于弱势状态)时的下降幅度。
Based on the IS-Philips model, this paper constructs a interest rate rule that includes exchange rate and asset price (real estate price), and uses the MS-VAR model to test the nonlinear dynamic relationship between RMB exchange rate, asset price and interest rate. The conclusion of the study shows that when China’s interest rate policy copes with the exchange rate of RMB and real estate, there is a significant system-switching effect. When the price of real estate is in a high-zone system (that is, housing prices are at a relatively high level), the rate of increase of interest rates is greater than that of the low-zone (that is, the prices of houses are at a relatively low level); meanwhile, That is, the renminbi is in a strong state), the rate of decline in interest rates is greater than when it is in the low zone (that is, when the renminbi is in a weak state).